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Very Hard · architecture & logic · Quant Developer interview question · c++, data structures, trading systems, simulation
Matching engines form the core infrastructure of electronic exchanges, requiring deterministic execution, strict price-time priority rules, and robust edge-case handling. Implementing a low-latency matching engine involves managing complex order types like Immediate or Cancel (IOC) and Fill or Kill (FOK), alongside Self-Trade Prevention (STP). Understanding these microstructure mechanics is crucial in quantitative finance for developing high-frequency trading strategies that interact directly wi